Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3347
Annualized Std Dev 0.5139
Annualized Sharpe (Rf=0%) -0.6512

Row

Daily Return Statistics

Close
Observations 3562.0000
NAs 1.0000
Minimum -0.2381
Quartile 1 -0.0166
Median -0.0021
Arithmetic Mean -0.0011
Geometric Mean -0.0016
Quartile 3 0.0128
Maximum 0.2466
SE Mean 0.0005
LCL Mean (0.95) -0.0022
UCL Mean (0.95) 0.0000
Variance 0.0010
Stdev 0.0324
Skewness 0.2633
Kurtosis 7.5447

Downside Risk

Close
Semi Deviation 0.0223
Gain Deviation 0.0252
Loss Deviation 0.0228
Downside Deviation (MAR=210%) 0.0275
Downside Deviation (Rf=0%) 0.0229
Downside Deviation (0%) 0.0229
Maximum Drawdown 0.9988
Historical VaR (95%) -0.0463
Historical ES (95%) -0.0756
Modified VaR (95%) -0.0469
Modified ES (95%) -0.0539
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-15 NA -0.9988 3102 3097 NA
2008-03-11 2008-09-19 2008-10-07 -0.3604 147 135 12
2008-10-28 2008-11-04 2008-11-19 -0.3479 17 6 11
2008-10-10 2008-10-13 2008-10-24 -0.2636 11 2 9
2007-08-06 2007-10-09 2007-11-21 -0.2173 77 46 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -2.1 0.7 -0.6 -0.8 -1 0.7 -1 -2.6 -4.8 7.5 -1 1.5 -3.9
2008 -5.7 3.9 -7.6 -3.7 -1.3 -0.3 -0.7 1.6 2.2 -8.4 24.7 -5.3 -4.3
2009 4 1.7 -3.3 -1.3 -7.9 -3.1 0.6 4.6 6 5.5 -3.2 2.5 5.5
2010 -2.4 -4.5 -1.9 5.8 6.2 1.6 -0.2 -7.7 -0.9 1.2 -4.4 1.5 -6.3
2011 -4.6 3.9 -0.8 -0.1 6.2 -3 0.9 4.1 6 6.4 1.3 1.2 23
2012 -4.2 -1 0.3 -0.1 6.1 -6.2 3.4 -1 -0.5 -2.1 0.1 -3.9 -9.2
2013 -2.1 -1.1 2.3 4.9 2.4 -3 -2.8 3.3 -2.3 1.1 -0.1 -0.5 1.6
2014 1.3 0.8 -2.6 0.1 0.9 -2.3 0.7 -1.1 2.7 -2.8 3.3 1.2 2.1
2015 4.2 1 0.1 -1.3 -0.7 -0.6 -1.1 5.3 0.4 0.8 -1.1 2.6 9.8
2016 1.1 -4.2 -0.9 1.8 -1.4 -0.8 -0.1 -0.1 -2 2.3 1.1 0.7 -2.7
2017 -0.1 -3.7 -0.3 -1.1 -3.8 0.2 -0.3 -1 -0.4 1.3 0.9 1.6 -6.7
2018 -0.6 0.6 -2 -0.9 -1.4 0.1 0.1 -0.9 2.9 -4.2 -1.2 -1.5 -8.8
2019 -0.3 -1.9 -2.2 1.8 2.5 -0.7 2.9 0.3 3.9 -3.4 1.5 -0.3 3.8
2020 4.1 2.7 13.5 7.9 -1.9 1.8 2 -2.4 -3 2.8 -1.7 0.2 28
2021 -5 -7 -1.5 NA NA NA NA NA NA NA NA NA -12.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-01-25 4515. SPY    142. -0.0117  -0.002    0.0045   0.0348    0.124    0.243    0.256 GLD    64.1 -4.20e-3   0.0289
2 2007-01-26 4463. SPY    142. -0.0007  -0.0046   0.01     0.031     0.122    0.227    0.252 GLD    64.1  6.00e-4   0.0175
3 2007-01-29 4400  SPY    142. -0.0008  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -5.10e-3   0.0167
4 2007-01-30 4344. SPY    143.  0.0052  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  7.10e-3  -0.0002
5 2007-01-31 4333. SPY    144.  0.0067  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  9.50e-3   0.0078
6 2007-02-01 4240  SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  6.00e-3   0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart